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A statistical methodology for assessing the maximal strength of tail dependence
Sun, Ning; Yang, Chen; Zitikis, Ričardas - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 799-825
Persistent link: https://www.econbiz.de/10012307385
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Combined tail estimation using censored data and expert information
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan - In: Scandinavian actuarial journal 2020 (2020) 6, pp. 503-525
Persistent link: https://www.econbiz.de/10012262751
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Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation
Iglesias, Emma M. - In: Economic modelling 50 (2015), pp. 1-8
Persistent link: https://www.econbiz.de/10011439601
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Power law scaling and "Dragon-Kings'' in distributions of intraday financial drawdown
Filimonov, Vladimir; Sornette, Didier - 2014
significant transient dependence between returns and (ii) the presence of large outliers (dragon-kings) characterizing the extreme …
Persistent link: https://www.econbiz.de/10010412365
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Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach
Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021
The incidence of rare but extreme events appears to be significant in worldwide financial markets. In this chapter we apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing...
Persistent link: https://www.econbiz.de/10012604174
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Bayesian estimation of stochastic tail index from high-frequency financial data
Doğan, Osman; Taṣpınar, Süleyman; Bera, Anil K. - In: Empirical economics : a quarterly journal of the … 61 (2021) 5, pp. 2685-2711
Persistent link: https://www.econbiz.de/10012664628
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A comparison of tail dependence estimators
Supper, Hendrik; Irresberger, Felix; Weiß, Gregor - In: European journal of operational research : EJOR 284 (2020) 2, pp. 728-742
Persistent link: https://www.econbiz.de/10012238789
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GARCH models, tail indexes and error distributions : an empirical investigation
Horváth, Roman; Šopov, Boril - In: The North American journal of economics and finance : a … 37 (2016), pp. 1-15
Persistent link: https://www.econbiz.de/10011672845
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Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar; Allen, David E.; Powell, Robert - In: Applied economics 49 (2017) 45, pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
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Short selling in extreme events
Geraci, Marco Valerio; Garbaravičius, Tomas; Veredas, David - In: Journal of financial stability 39 (2018), pp. 90-103
Persistent link: https://www.econbiz.de/10012159719